As far as the BCP error, what version of BCP are you running? You can start a command window and do BCP -v. On my machine, my BCP version is 11.0.2100.60. One thing that you can do is copy the BCP command that you should see in SQLAzureMW results page and just
run it from a command window. You can remove SQLAzureMW from the equation and see if you can get BCP running.